To make it stand out. In the ancient days before word processors, changing font sizes couldn’t be done on most typewriters (and most Selectric users only had one ball). All-Caps or doublestriking was the only way to make something stand out on a typed page.
In my experience, most military orders were done this way to make finding and identifying the names faster. Perhaps it is a leftover from an old War Department style guide from the 1930’s. Not the definitive cite you want but at least a good start point for a detailed search.